A tree approach to options pricing under regime-switching jump diffusion models

A simple, efficient tree is developed to price options in a very general regime-switching jump diffusion model. Under this model, the switching rates of the switching process depend on the underlying stock price process. Sufficient conditions that guarantee the positivity of branch probabilities are provided. Using the regime-switching tree, we approximate Heston's stochastic volatility model with an additional jump component. Finally, we illustrate the effectiveness of the tree method by several numerical examples.     

Insight into spontaneous recurrent calcium waves in a 3-D cardiac cell based on analysis of a 1-D deterministic model

Calcium dynamics in a cardiac cell are described by a system of 3-D non-linear stochastic partial differential equations. To obtain solutions that have biophysical properties, it is necessary to explore the model parameter space. To decrease the complexity of the parameter search, we reduce the 3-D stochastic model to a 1-D deterministic model. The reduction of the problem from 3-D to 1-D is done through an asymptotic approximation after non-dimensionalization and based on rational biophysical assumptions of the 3-D domain; the stochastic to deterministic transformation is based on the regular property of the 3-D solution. The result of the model reduction proves very effective in reducing the time required to get qualitative as well as quantitative information about parameter regions in the 3-D stochastic model including calcium dynamics (sparks, wave propagation, and recovery) observed in cardiac cells.     

Time Averaging Algorithms with Stopping Rules for Multi‐Agent Consensus with Noisy Measurements

A time averaging technique is introduced to consensus algorithms in networked multi‐agent systems under a noisy environment. Each agent communicates with its neighboring agents via a constant gain, while the time averaging states of the agents are considered as the values for agreement. The variation of the time averaging states then is evaluated at a specific number of iterations, where the number is given explicitly in terms of parameters related to the consensus accuracy and its probabilistic guarantee. This result establishes a rigorous stopping rule for the multi‐agent consensus with noisy measurements. Several results on this type of stopping rules are provided for undirected, directed, and time‐varying communication graphs. These theoretical results are illustrated through numerical examples.     

基于经典粗糙集的近似集动态获取方法

信息系统中的数据是动态变化的,根据动态变化的信息系统获取有用的信息,成为数据处理中的关键问题。针对该问题,分别讨论了信息系统中属性增加和减少时,近似集的动态获取方法。通过对信息系统中原有的等价类进行划分,避免了对论域的重新划分,提高了动态更新近似集的效率,通过讨论等价类与原有近似集之间的关系,给出了信息系统动获取之后的近似集与原来近似集之间的相关定理,提出了在经典粗糙集模型中,属性增减时近似集动态获取方法。实验结果验证了该方法的正确性和有效性,而且效率优于原始的方法。     

Observer‐based decentralized adaptive control for large‐scale pure‐feedback systems with unknown time‐delayed nonlinear interactions

This paper presents an approximation design for a decentralized adaptive output‐feedback control of large‐scale pure‐feedback nonlinear systems with unknown time‐varying delayed interconnections. The interaction terms are bounded by unknown nonlinear bounding functions including unmeasurable state variables of subsystems. These bounding functions together with the algebraic loop problem of virtual and actual control inputs in the pure‐feedback form make the output‐feedback controller design difficult and challenging. To overcome the design difficulties, the observer‐based dynamic surface memoryless local controller for each subsystem is designed using appropriate Lyapunov‐Krasovskii functionals, the function approximation technique based on neural networks, and the additional first‐order low‐pass filter for the actual control input. It is shown that all signals in the total controlled closed‐loop system are semiglobally uniformly bounded and control errors converge to an adjustable neighborhood of the origin. Finally, simulation examples are provided to illustrate the effectiveness of the proposed decentralized control scheme. Copyright © 2013 John Wiley & Sons, Ltd.     

Sampling average approximation method for a class of stochastic Nash equilibrium problems

We consider a class of stochastic Nash equilibrium problems (SNEP). Under some mild conditions, we reformulate the SNEP as a stochastic mixed complementarity problem (SMCP). We apply the well-known sample average approximation (SAA) method to solve the SMCP. We further introduce a semismooth Newton method to solve the SAA problems. The comprehensive convergence analysis is given as well. In addition, we demonstrate the proposed approach on a stochastic Nash equilibrium model in the wholesale gas–oil markets.     

二进制无线传感器网络目标跟踪问题的研究

无线传感器网络是近几年发展起来的一门新技术,其研究的重点之一是目标跟踪问题。二进制传感器网络由于其低廉的布设代价、体积小、低能耗以及传感器节点简单,正得到越来越多的关注并用于目标跟踪。目前二进制无线传感器网络中的目标跟踪方法主要分为两大类:基于分段线性拟合的方法和基于粒子滤波的方法。现分别归纳总结现有二进制无线传感器网络中目标跟踪的两大类方法的研究成果并指出其优缺点以及未来的研究方向或需要完善的工作。     

知识的属性扰动规律的不等式关系

知识的属性扰动引起知识规律的变化,这些变化的规律称为扰动规律.利用单向S-粗集和单向S-粗集对偶,给出属性扰动的知识规律的上规律.下规律的概念,并对知识规律与属性扰动的知识规律进行了讨论,提出了属性扰动知识规律(上规律,下规律)的不等式定理.     

Kernel shapes of fuzzy sets in fuzzy systems for function approximation

The shapes of if-part fuzzy sets affect the approximating capability of fuzzy systems. In this paper, the fuzzy systems with the kernel-shaped if-part fuzzy sets are built directly from the training data. It is proved that these fuzzy systems are universal approximators and their uniform approximation rates can be estimated in the single-input-single-output (SISO) case. On the basis of these rates, the relationships between the approximating capability and the shapes of if-part fuzzy sets are developed for the fuzzy systems. Furthermore, the sinc functions that serve as input membership functions are proved to have the almost best approximation property in a particular class of membership functions. The theoretical results are confirmed from the simulation data. In addition, the estimations of the uniform approximation rates are extended to the multi-input-single-output (MISO) case.